An Improvement of the Sharpe-Ratio Test on Small Samples -- Mean-Variance Ratio Test

2009 ◽  
Author(s):  
Zhidong Bai ◽  
Keyan Wong ◽  
Wing-Keung Wong
Keyword(s):  
Sharpe Ratio ◽  
Small Samples ◽  
Ratio Test ◽  
Variance Ratio ◽  
Variance Ratio Test ◽  
Mean Variance

scholarly journals Modified Variance Ratio Test for Autocorrelation in the Presence of Heteroskedasticity

2018 ◽  
Vol 23 (1) ◽  
pp. 1-19
Author(s):  
Sohail Chand ◽  
Nuzhat Aftab
Keyword(s):  
Stock Exchange ◽  
Numerical Results ◽  
Asymptotic Distributions ◽  
Small Samples ◽  
Ratio Test ◽  
Variance Ratio ◽  
Variance Ratio Test ◽  
Daily Returns

Given that autocorrelation tests do not perform well in the presence of heteroskedasticity and in variance-break cases, we present three modified weighted variance ratio tests of autocorrelation. The numerical results show that the proposed tests perform better for small samples. They provide a better approximation of asymptotic distributions and are more powerful when the lag length is mis-specified. The study also applies these tests to data on the daily returns of two companies listed on the Pakistan Stock Exchange.

scholarly journals Efficiency in emerging markets: Applying the automatic variance ratio test

2012 ◽  
Vol 9 (2) ◽  
pp. 300-309
Author(s):  
Everton Anger Cavalheiro ◽  
Kelmara Mendes Vieira ◽  
Paulo Sérgio Ceretta
Keyword(s):  
Weak Form ◽  
Research Problem ◽  
Daily Basis ◽  
Emerging Countries ◽  
Small Samples ◽  
Ratio Test ◽  
Subprime Crisis ◽  
Variance Ratio ◽  
Market Inefficiency ◽  
Variance Ratio Test

This paper analyzes the efficiency of the market in its weak form, as proposed by Fama (1970), in 24 emerging countries, after the subprime crisis of 2007/2008. To answer the research problem, initially calculated the log return of the main contents of these countries. After we used the automatic variance ratio for small samples, as Kim (2006) and Kim (2009). The results indicate monthly market inefficiency for Chile, Hungary and Malaysia as well as demonstrated inefficiency, on a daily basis, for the Chilean, Egyptian, Filipino, Israeli, Jordanian, Malaysian, Mexican, Russian and Thai market.

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